Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0006
Annualized Std Dev 0.1683
Annualized Sharpe (Rf=0%) -0.0037

Row

Daily Return Statistics

Close
Observations 4590.0000
NAs 1.0000
Minimum -0.1771
Quartile 1 -0.0036
Median 0.0004
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0040
Maximum 0.1979
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0004
Variance 0.0001
Stdev 0.0106
Skewness -0.7974
Kurtosis 70.3710

Downside Risk

Close
Semi Deviation 0.0078
Gain Deviation 0.0082
Loss Deviation 0.0096
Downside Deviation (MAR=210%) 0.0125
Downside Deviation (Rf=0%) 0.0078
Downside Deviation (0%) 0.0078
Maximum Drawdown 0.5335
Historical VaR (95%) -0.0131
Historical ES (95%) -0.0245
Modified VaR (95%) -0.0046
Modified ES (95%) -0.0046
From Trough To Depth Length To Trough Recovery
2005-09-09 2008-10-10 2012-06-27 -0.5335 1712 777 935
2012-10-02 2020-03-18 NA -0.4177 2130 1876 NA
2003-06-25 2004-05-20 2005-06-08 -0.1505 493 229 264
2002-12-30 2003-02-21 2003-06-24 -0.0944 122 37 85
2005-07-15 2005-07-29 2005-08-23 -0.0480 28 11 17

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2002 NA NA NA NA NA NA NA NA NA NA NA 0 NA
2003 -0.8 0.5 0.8 1.4 0.3 -0.3 1.4 -0.7 0.5 0.4 1.5 0.7 5.8
2004 0.7 0 -0.4 0.6 -1.1 0.6 0.4 1 0.1 0 -0.4 0.1 1.6
2005 -0.7 0.7 -0.5 1 -0.1 -0.1 0.1 0.1 -0.4 -0.3 0.8 0.8 1.5
2006 -1.6 -0.8 0.5 0.9 1.3 0.3 0.3 -0.2 -0.5 0.1 0.3 -0.3 0.4
2007 -0.3 0.1 0.1 0.3 0.1 0.3 -1 0.1 0.1 -1.2 3.6 0.1 2.2
2008 -0.1 -0.5 0.2 -0.5 -0.5 -0.1 1.2 -0.2 6.9 -1.1 0 0.1 5.5
2009 1.4 0.9 1 0.9 0.2 0.5 -1.3 5.1 0.8 -3.4 0.2 0.1 6.5
2010 0.7 0.3 0 0.5 0.1 0.3 -0.5 0.3 -0.2 0.3 -0.2 1.3 3
2011 0.3 -0.2 0.3 -0.7 0 -0.3 1.7 0.7 0.2 0.3 0.9 0.4 3.7
2012 0.4 0.9 1.5 -0.1 -0.2 -0.1 -0.4 1.1 1.4 -0.3 0.4 0.3 5.1
2013 -0.1 0.1 0.1 -0.4 -1.1 0.3 -1.9 1 -0.7 -1.2 0.2 -0.3 -4.1
2014 -0.3 -1.1 -0.6 0.1 0.3 -0.9 -0.4 0.1 0.1 0.8 0.2 0.6 -1.2
2015 0.5 0.7 -0.9 -0.3 0.3 0 0.5 0.2 0.4 0.3 -0.3 0.3 1.9
2016 -0.2 -0.4 -0.1 -0.2 0.9 0.1 0.8 -0.2 -0.2 0.1 -0.8 0.3 0.1
2017 0.1 -0.3 0 0.2 0.7 0.4 0.7 -0.2 0.3 0.8 -0.1 -0.1 2.7
2018 -0.3 -0.3 -0.1 0.2 0.2 -0.5 -1 0.7 0 0.4 0.4 0.6 0.3
2019 0.1 -0.1 0.1 0.4 0.4 -0.1 0.8 0.5 0 0.3 0.3 0.5 3.3
2020 0.6 -1.9 -3.8 0.8 0.7 0.5 0.3 -0.1 0 -0.1 0.3 0.3 -2.5
2021 -0.1 -0.4 1.9 NA NA NA NA NA NA NA NA NA 1.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2002-12-20  15   SPY    90.0  1.42e-2   0.0122  -0.021    0.0809   -0.211   -0.364       NA <NA>     NA    NA       NA
2 2002-12-23  15   SPY    90.0  3.00e-4  -0.0178  -0.0433   0.0937   -0.217   -0.369       NA <NA>     NA    NA       NA
3 2002-12-24  15   SPY    89.4 -7.40e-3  -0.0165  -0.0435   0.0593   -0.221   -0.369       NA <NA>     NA    NA       NA
4 2002-12-26  15   SPY    89.4  4.00e-4  -0.0046  -0.0438   0.0427   -0.225   -0.378       NA <NA>     NA    NA       NA
5 2002-12-27  15.0 SPY    87.4 -2.25e-2  -0.02    -0.0471   0.056    -0.247   -0.394       NA <NA>     NA    NA       NA
6 2002-12-30  15   SPY    88.1  8.40e-3  -0.0209  -0.0654   0.0773   -0.240   -0.398       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart